Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0024
Annualized Std Dev 0.1784
Annualized Sharpe (Rf=0%) -0.0132

Row

Daily Return Statistics

Close
Observations 5548.0000
NAs 1.0000
Minimum -0.1394
Quartile 1 -0.0043
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0047
Maximum 0.1239
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0112
Skewness -0.2293
Kurtosis 23.0967

Downside Risk

Close
Semi Deviation 0.0081
Gain Deviation 0.0087
Loss Deviation 0.0094
Downside Deviation (MAR=210%) 0.0129
Downside Deviation (Rf=0%) 0.0081
Downside Deviation (0%) 0.0081
Maximum Drawdown 0.6316
Historical VaR (95%) -0.0157
Historical ES (95%) -0.0266
Modified VaR (95%) -0.0139
Modified ES (95%) -0.0139
From Trough To Depth Length To Trough Recovery
2005-07-01 2008-12-15 NA -0.6316 3952 869 NA
1999-03-17 1999-12-29 2002-09-03 -0.3416 853 191 662
2004-03-19 2004-05-13 2005-06-22 -0.2015 318 39 279
2002-10-03 2002-11-04 2003-05-28 -0.1218 163 23 140
2003-06-13 2003-08-18 2004-01-14 -0.1020 149 46 103

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0.8 0.9 0 0.5 1.4 -0.4 2 -1.5 -0.5 -2.9 0.6 0.7
2000 1.1 0.5 0.5 -0.5 -0.6 0.6 1.1 0.5 0 -1.1 2.3 -0.5 4
2001 1.1 0.4 0.4 0.6 0.9 0.2 0.6 0 2.5 -0.7 -0.4 0 5.8
2002 0.8 0.1 0.7 1.2 0 -0.5 -0.5 0 0.1 0.4 0.4 1.5 4.2
2003 0.3 0.3 -0.1 0 -0.3 0.9 -3.5 -0.1 0.2 0.4 0.3 0.3 -1.3
2004 0.4 0.8 0.6 -1.1 0.7 1.4 0 -0.3 -1 1 0.2 0.3 3.1
2005 0.5 1.3 0.1 -0.3 0.4 -2 0.5 0.1 0.1 -0.1 0.1 0.2 0.8
2006 -0.2 0.6 0.3 -0.5 0.5 -0.3 1.4 0 0.5 0.9 0.5 -0.1 3.8
2007 -0.1 0.2 0.3 0.6 0 0.3 -0.2 -0.4 0.1 0.6 4.3 -0.4 5.1
2008 0.8 -2.7 -0.4 -0.5 1 0 0.7 -0.2 -0.9 -0.1 5.2 0.4 3.3
2009 0.8 -2.9 3.4 -0.3 -1.9 2.3 -0.4 0.2 -0.6 -0.2 0 -1 -0.8
2010 0.5 -0.1 -0.6 -0.1 -0.5 -0.2 -1.3 -0.5 -0.4 -0.2 -0.8 2 -2.2
2011 0 0.8 1.1 0.8 0 0.6 0.9 0.4 -0.5 -0.2 0.9 -0.4 4.4
2012 -0.1 -0.4 0.3 0 0.4 0.3 0.1 0.6 -0.2 0.5 0.9 0.1 2.7
2013 0.1 0.3 -1.6 0.1 -2.7 -0.5 -1.1 1.5 -0.4 -1.7 0.5 -0.2 -5.7
2014 0.8 -0.2 0.3 0.1 0 -0.5 -1.2 -0.1 0.6 -0.4 0.4 1.5 1.2
2015 0.4 0.7 0.1 -0.1 1 0.4 1.6 0.2 -0.6 -0.1 -0.1 0.4 4
2016 0.1 -0.9 0.3 0.2 0.5 0.1 0 1 -1.1 -0.1 -1.8 -0.4 -2.2
2017 -0.1 0.5 0.4 0.9 -0.5 0.2 0.2 0.5 0.3 -0.2 -0.2 -0.4 1.4
2018 -0.1 -0.3 -0.1 1.1 -0.5 0.7 -0.8 0.4 -0.3 0.2 -0.4 -0.2 -0.3
2019 0.3 -0.2 1 2.3 -0.1 -0.5 0.8 -0.3 -0.4 0.2 0.2 0 3.3
2020 -0.4 -0.9 -3.5 0.8 0.5 0.7 0.5 0.2 -0.1 1.1 -0.7 0.4 -1.4
2021 -0.1 -1.8 0.1 NA NA NA NA NA NA NA NA NA -1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-27  15.1 SPY    125. -0.0117  -0.0126  NA            NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-28  15.1 SPY    127.  0.0168   0.0313  NA            NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-29  15   SPY    128.  0.0076   0.0416  NA            NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-02-01  15   SPY    127. -0.0059   0.025   NA            NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-02-02  15.1 SPY    126. -0.0062   0.0005  NA            NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-02-03  15   SPY    127.  0.0102   0.0226   0.0356       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart